How do I input chinese characters?

I've just joined ChinesePod a few minutes ago and was wondering how I may type Chinese characters? I have already followed the control panel > regional languages till I've added the Chinese PRC simplified keyboard. Even after switching to CH Chinese (Simplified, PRC) keyboard, when typing a pinyin say, "Shanghai" it still won't convert it to chinese characters.

Pardon me if this is a very newbie question but any help will be greatly appreciated. Thank you folks!